IGRO Options History — December 2021

In December 2021, IGRO traded between $64.96 and $68.19. ATM implied volatility averaged 24.1%. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 11.5% (HV 20d: 12.6%). Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 5 of 22 days.

Notable Days

  • 2021-12-15: Largest IV drop — 58.8% change
  • 2021-12-03: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$66.59$64.96$68.19$64.96$67.87
ATM IV24.1%16.2%40.8%24.3%20.2%
Expected Move5.7%4.3%10.0%7.0%5.8%
HV 20d12.6%9.1%14.9%9.1%13.0%
HV 60d11.1%10.6%11.9%11.4%10.8%
Term Structure-3.1%-16.4%1.3%-5.1%-3.1%
Skew 25d4.3%1.7%13.8%4.2%1.7%
Skew 10d3.3%-0.4%8.5%1.9%2.2%
Call IV 25d18.3%14.9%26.5%24.3%18.6%
Put IV 25d22.6%17.4%40.2%28.5%20.3%
Bid-Ask Spread %137.34122.48147.34139.48141.77
Net GEX00000
Net DEX00000
Net VEX00000
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI00000

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-12-01$64.96$0.0024.3%7.0%9.1%0.0%0.0%4.2%-5.1%0000.00139.48N/AN/A0000
2021-12-02$65.45$0.0024.8%7.1%9.4%0.0%0.0%2.8%-8.0%0000.00139.37N/AN/A0000
2021-12-03$65.13$0.0034.8%10.0%9.4%0.0%0.0%13.8%-16.4%0000.00130.78N/AN/A0000
2021-12-06$65.97$0.0025.3%5.6%10.8%0.0%0.0%2.7%-4.6%0000.00133.86N/AN/A0000
2021-12-07$66.74$0.0033.8%4.4%11.7%0.0%0.0%2.6%1.3%0000.00135.93N/AN/A0000
2021-12-08$67.22$0.0024.6%4.3%12.0%0.0%0.0%2.7%1.1%0000.00134.56N/AN/A0000
2021-12-09$66.56$0.0028.1%5.3%12.2%0.0%0.0%8.0%-6.7%0000.00122.48N/AN/A0000
2021-12-10$66.75$0.0026.1%4.3%12.1%0.0%0.0%2.5%0.7%0000.00134.06N/AN/A0000
2021-12-13$65.96$0.0034.9%4.5%12.5%0.0%0.0%2.9%1.2%0000.00139.37N/AN/A0000
2021-12-14$65.65$0.0040.8%5.6%12.6%0.0%0.0%3.3%-0.2%0000.00139.23N/AN/A0000
2021-12-15$66.26$0.0016.8%4.8%13.2%0.0%0.0%2.5%0.3%0000.00143.68N/AN/A0000
2021-12-16$66.64$0.0017.9%5.1%13.3%0.0%0.0%3.0%-3.3%0000.00146.43N/AN/A0000
2021-12-17$66.21$0.0020.2%5.8%13.5%0.0%0.0%11.2%-0.2%0000.00132.13N/AN/A0000
2021-12-20$65.55$0.0018.8%5.4%13.7%0.0%0.0%3.9%-0.9%0000.00135.77N/AN/A0000
2021-12-21$66.30$0.0017.8%5.1%14.5%0.0%0.0%2.8%-1.3%0000.00136.53N/AN/A0000
2021-12-22$66.91$0.0023.7%6.8%14.8%0.0%0.0%10.5%-10.9%0000.00130.81N/AN/A0000
2021-12-23$67.26$0.0016.2%4.6%14.9%0.0%0.0%1.7%-1.7%0000.00136.87N/AN/A0000
2021-12-27$67.94$0.0019.4%5.6%13.7%0.0%0.0%2.7%-3.2%0000.00145.80N/AN/A0000
2021-12-28$68.19$0.0022.3%6.4%13.7%0.0%0.0%5.5%-1.4%0000.00136.97N/AN/A0000
2021-12-29$67.63$0.0022.0%6.3%13.1%0.0%0.0%1.8%-2.7%0000.00147.34N/AN/A0000
2021-12-30$67.74$0.0016.7%4.8%13.1%0.0%0.0%2.1%-2.5%0000.00138.32N/AN/A0000
2021-12-31$67.87$0.0020.2%5.8%13.0%0.0%0.0%1.7%-3.1%0000.00141.77N/AN/A0000